Class EuropeanOptionVarianceGammaModelBoundary

java.lang.Object

net.finmath.finitedifference.assetderivativevaluation.boundaries.EuropeanOptionVarianceGammaModelBoundary

All Implemented Interfaces:

FiniteDifferenceBoundary

public class EuropeanOptionVarianceGammaModelBoundary
extends Object
implements FiniteDifferenceBoundary

Boundary conditions for EuropeanOption under the FDMVarianceGammaModel.

The class follows the standard factory naming convention <ProductSimpleName><ModelCoreName>Boundary, so that it can be instantiated automatically by FDBoundaryFactory.

Since the finite-difference Variance Gamma model is formulated in the stock variable, the standard one-dimensional vanilla outer-domain asymptotics are used.

Author:

Alessandro Gnoatto

Constructor Summary

Constructors

Constructor	Description
EuropeanOptionVarianceGammaModelBoundary(FDMVarianceGammaModel model)	Creates the boundary condition associated with a given FDMVarianceGammaModel.

Method Summary

Modifier and Type	Method	Description
BoundaryCondition[]	getBoundaryConditionsAtLowerBoundary(FiniteDifferenceEquityProduct product, double time, double... stateVariables)	Returns the boundary conditions at the lower boundary.
BoundaryCondition[]	getBoundaryConditionsAtUpperBoundary(FiniteDifferenceEquityProduct product, double time, double... stateVariables)	Returns the boundary conditions at the upper boundary.

Methods inherited from class Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Details

EuropeanOptionVarianceGammaModelBoundary

public EuropeanOptionVarianceGammaModelBoundary(FDMVarianceGammaModel model)

Creates the boundary condition associated with a given FDMVarianceGammaModel.

Parameters:

model - The Variance Gamma model used to determine risk-free and dividend discount factors.

Method Details

getBoundaryConditionsAtLowerBoundary

public BoundaryCondition[] getBoundaryConditionsAtLowerBoundary(FiniteDifferenceEquityProduct product,
 double time,
 double... stateVariables)

Description copied from interface: FiniteDifferenceBoundary

Returns the boundary conditions at the lower boundary.

The returned array is indexed by state-variable dimension.

Specified by:

getBoundaryConditionsAtLowerBoundary in interface FiniteDifferenceBoundary

Parameters:

product - The product being valued.

time - The running time.

stateVariables - The state variables specifying the boundary location.

Returns:

The lower-boundary conditions by dimension.

getBoundaryConditionsAtUpperBoundary

public BoundaryCondition[] getBoundaryConditionsAtUpperBoundary(FiniteDifferenceEquityProduct product,
 double time,
 double... stateVariables)

Description copied from interface: FiniteDifferenceBoundary

Returns the boundary conditions at the upper boundary.

The returned array is indexed by state-variable dimension.

Specified by:

getBoundaryConditionsAtUpperBoundary in interface FiniteDifferenceBoundary

Parameters:

product - The product being valued.

time - The running time.

stateVariables - The state variables specifying the boundary location.

Returns:

The upper-boundary conditions by dimension.